I used to jam mine inbetween the bridge saddle screw and the D string on my Ibanez, but I changed the bridge on my bass, so thats out.
Now I sort of stick it in the gap between the lower edge of my bridge pickup and the edge of the body, actually in the pickup rout.
I'm sure some of you are like, "***?!" but it's never given me any problems, doesn't get in the way, and I can get to a pick pretty much instantaneously. Not that I use it much, but injuries sometimes occur.
I think I've an example, if I find the pic I'll post it up here.